|
PureBytes Links
Trading Reference Links
|
Thank you Roy for your interest in the subject.
Actually I almost gave up coz couldn't code the idea. But if you say it
may be possible to implement, let't try!
I don't trade stocks, futures and forex only therefore both long and
short side is important to me. Those who use trading systems can easy see
that time to time their system's equity curve "sinks under the water" for
quite a long time. Sometimes it's only next Drawdown (if not maximum
Drawdown), other time it can be even the first symptom of system failure.
For last 3 years I've been trading the equity using the chart only (with
both equity curve (EQ) and its SMA or EMA plotted). From the beginning I
was just skipping the trades when equity curve went below its moving
average. But the idea of decreasing position sizing (I've found it 4
months ago) seems to be more useful and profitable. It's because you
never miss the best trade ever which may happens during the equity
drawdown. So it's time to test the ideas , if not both therefore at least
skipping trades concept.
In order to not miss ourselves in the forest we must make some
assumptions regarding equity drawing in Metastock. According to my
knowlegde the equity adds/deducts the difference between:
- today's high and yesterday's high -> to previous value of equity when
we stay long in our system EQ:=(H-REF(H,-1))+PREV
- today's low and yesterday's low -> when we stay short in our system
EQ:=(L-REF(L,-1))+PREV
The problem appears when we are out (last position is closed, new is not
opened yet). In such case equity curve equals PREV and we see horizontal
line on the equity chart. It virtualy affects our moving average. Anyone
can say that this doesn't bother him, but not me. Fortunately all my
systems are SAR type (stop and reverse) thus there are no "out
positions", no horizontal lines except minor one: that line which appears
before the first position are taken.
Next problem concerns opened position. It may happens that we are caught
in MAE zone (max adverse excursion zone): our stop loss has not been
triggered yet but EQ crosses its SMA. Should we close the trade or wait
for stop loss (or reversing position in SAR system)? I can say that
correct action is to wait for stop loss (or reverse) because MAE is a
natural part of the system. But it must be implemented in our system's
code. Especially if we wanna test if such assumption is right or EQ and
SMA cross has a priority before stop loss.
Anyway the basic step is to code EQ indicator properly. The best if PREV
function is not neccessary in our code. This is why I asked for help
here.
hope it helps a little
Kathay
ps. sorry for my English, it's not my origin language
ps2. for those interested in getting to know the test of such idea using
another program than Metastock, just let me know; I didn't do it assuming
we all discus Metastock tips and tricks on this forum
--
[ Jak zgłosić stronę do konkursu "Złote Strony Wprost"? ]
http://www.wprost.pl/zlotestrony/
------------------------ Yahoo! Groups Sponsor --------------------~-->
Has someone you know been affected by illness or disease?
Network for Good is THE place to support health awareness efforts!
http://us.click.yahoo.com/Rcy2bD/UOnJAA/cosFAA/zMEolB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/Metastockusers/
<*> To unsubscribe from this group, send an email to:
Metastockusers-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|